In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...

The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...

We review the literature about the rich, the affluent and the top incomes focusing in two issues: identification and measurement, and the analysis of the determinants of richness. The review discusses data sources, indicators, populations and units of analysis used for the identification of the...

O estudo examina um conjunto particular de determinantes institucionais da desigualdade: as políticas previdenciárias. A hipótese testada é a de que os benefícios que realmente contribuem para a concentração da Previdência no país – e, consequentemente, para a desigualdade – não...

Utilizando dados do Censo de 2000 este trabalho estima os efeitos sobre a estratificação social de pessoas com características elegíveis ao Benefício de Prestação Continuada (BPC) de uma mudança do conceito de família utilizado no cálculo dos rendimentos familiares per capita dos...

We discuss four different concepts of feminization of poverty and analyze household survey data to verify if there is an undergoing feminization of poverty in eight Latin American countries, according to each of these concepts. We also verify if our results are sensible to changes in values of...

A model of realized variance-covariance is proposed using a portfolio with the most liquid stockassets of Ibovespa. The purpose is to evaluate the economic gains associated with following avolatility timing strategy based on the model’s conditional forecasts. Comparing with...

The estimation of the impact of macroeconomic announcements in the Brazilian futuresmarkets is used to uncover the relationship between macroeconomic fundamentals andasset prices. Using intraday data from October 2008 to January 2011, we find thatexternal macroeconomic announcements dominate...